|
07/31/2020* |
Transamerica PIMCO Total Return VP
| Security Description | % of Total Net Assets |
|---|---|
| Uniform Mortgage-Backed Security, 3.00%, TBA | 7.49% |
| Uniform Mortgage-Backed Security, 2.00%, TBA | 7.38% |
| Uniform Mortgage-Backed Security, 2.50%, TBA | 7.26% |
| Government National Mortgage Association, 4.50%, TBA | 3.51% |
| U.S. Treasury Note, 2.12%, due 09/30/2024 | 3.24% |
| U.S. Treasury Bond, 3.12%, due 08/15/2044 | 3.23% |
| U.S. Treasury Note, 2.25%, due 08/15/2027 | 3.23% |
| U.S. Treasury Bond, 3.37%, due 05/15/2044 | 2.83% |
| Uniform Mortgage-Backed Security, 3.50%, TBA | 2.72% |
| Uniform Mortgage-Backed Security, 2.50%, TBA | 1.65% |
| U.S. Treasury Note, 1.87%, due 07/31/2022 | 1.53% |
| U.S. Treasury Bond, 3.00%, due 05/15/2045 | 1.38% |
| Hawksmoor Mortgages, Series 2019-1A, Class A, 1.28%, due 05/25/2053 | 1.37% |
| Uniform Mortgage-Backed Security, 3.50%, TBA | 1.30% |
| Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 0.96%, due 07/20/2045 | 1.27% |
| U.S. Treasury Note, 2.62%, due 02/15/2029 | 1.23% |
| U.S. Treasury Note, 1.75%, due 06/30/2024 | 0.95% |
| U.S. Treasury Bond, 2.87%, due 05/15/2043 | 0.85% |
| U.S. Treasury Note, 1.87%, due 08/31/2022 | 0.77% |
| U.S. Treasury Bond, 2.87%, due 08/15/2045 | 0.73% |
| U.S. Treasury Note, 2.25%, due 10/31/2024 | 0.72% |
| Towd Point Mortgage Funding, Series 2019-GR4A, Class A1, 1.10%, due 10/20/2051 | 0.71% |
| Bayer US Finance II LLC, 3.87%, due 12/15/2023 | 0.69% |
| Ford Motor Credit Co. LLC, Series MTN, 1.22%, due 09/24/2020 | 0.66% |
| Federal National Mortgage Association, 4.00%, due 08/01/2048 | 0.62% |
| U.S. Treasury Bond, 2.75%, due 08/15/2042 | 0.58% |
| Government National Mortgage Association, 5.00%, due 08/20/2049 | 0.55% |
| Goldman Sachs Group, Inc., 3.75%, due 05/22/2025 | 0.54% |
| Japan Finance Organization for Municipalities, 3.37%, due 09/27/2023 | 0.52% |
| Uniform Mortgage-Backed Security, 3.50%, TBA | 0.48% |
| NXP BV / NXP Funding LLC, 4.12%, due 06/01/2021 | 0.48% |
| Qatar Government International Bond, 5.10%, due 04/23/2048 | 0.46% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE10, Class 21A3, 0.41%, due 12/25/2036 | 0.46% |
| Government National Mortgage Association, 0.95%, due 09/20/2066 | 0.45% |
| Japan Bank for International Cooperation, 2.87%, due 07/21/2027 | 0.44% |
| Federal National Mortgage Association, 4.50%, due 12/01/2047 | 0.41% |
| U.S. Treasury Bond, 3.75%, due 11/15/2043 | 0.41% |
| Washington Prime Group, LP, 6.45%, due 08/15/2024 | 0.41% |
| Qatar Government International Bond, 4.50%, due 04/23/2028 | 0.40% |
| Tyson Foods, Inc., 0.82%, due 08/21/2020 | 0.40% |
| Mizuho Financial Group, Inc., 3.92%, due 09/11/2024 | 0.40% |
| Japan Finance Organization for Municipalities, 2.62%, due 04/20/2022 | 0.40% |
| Deutsche Bank AG, 3.70%, due 05/30/2024 | 0.39% |
| Hilton USA Trust, Series 2016-SFP, Class A, 2.82%, due 11/05/2035 | 0.39% |
| American Tower Corp., 3.37%, due 05/15/2024 | 0.39% |
| Santander PLC, 3.75%, due 11/15/2021 | 0.38% |
| Cooperatieve Rabobank UA, 4.37%, due 08/04/2025 | 0.38% |
| Evergreen Credit Card Trust, Series 2019-2, Class A, 1.90%, due 09/15/2024 | 0.38% |
| Daimler Finance North America LLC, 3.40%, due 02/22/2022 | 0.38% |
| Deutsche Bank AG, 3.15%, due 01/22/2021 | 0.38% |
| Daimler Finance North America LLC, 2.55%, due 08/15/2022 | 0.38% |
| Government National Mortgage Association, 0.77%, due 08/20/2065 | 0.37% |
| Banque Federative du Credit Mutuel SA, 1.23%, due 07/20/2023 | 0.37% |
| CIFC Funding, Ltd., Series 2015-5A, Class A1R, 1.10%, due 10/25/2027 | 0.37% |
| Lloyds Bank PLC, Series MTN, 7.50%, due 04/02/2032 | 0.36% |
| Countrywide Asset-Backed Certificates, Series 2006-24, Class 1A, 0.31%, due 06/25/2047 | 0.36% |
| Tralee CLO, Ltd., Series 2018-5A, Class A1, 1.38%, due 10/20/2028 | 0.36% |
| PayPal Holdings, Inc., 2.85%, due 10/01/2029 | 0.34% |
| Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB, 2.84%, due 10/10/2049 | 0.34% |
| Government National Mortgage Association, 0.77%, due 07/20/2065 | 0.34% |
| UniCredit SpA, 6.57%, due 01/14/2022 | 0.34% |
| CenterPoint Energy Resources Corp., 3.55%, due 04/01/2023 | 0.34% |
| VMware, Inc., 2.95%, due 08/21/2022 | 0.34% |
| DBGS Mortgage Trust, Series 2019-1735, Class A, 3.84%, due 04/10/2037 | 0.34% |
| Duke Energy Corp., 3.05%, due 08/15/2022 | 0.34% |
| Government National Mortgage Association, 3.00%, due 11/15/2049 | 0.34% |
| Marriott International, Inc., 4.15%, due 12/01/2023 | 0.34% |
| Banco Santander SA, 3.84%, due 04/12/2023 | 0.33% |
| Boston Properties, LP, 3.40%, due 06/21/2029 | 0.33% |
| Credit Suisse Group AG, 4.20%, due 06/12/2024 | 0.33% |
| Anheuser-Busch InBev Worldwide, Inc., 4.50%, due 06/01/2050 | 0.33% |
| AIB Group PLC, 4.75%, due 10/12/2023 | 0.33% |
| Dell International LLC / EMC Corp., 5.45%, due 06/15/2023 | 0.33% |
| Volkswagen Group of America Finance LLC, 3.35%, due 05/13/2025 | 0.32% |
| Israel Government International Bond, 2.75%, due 07/03/2030 | 0.32% |
| Societe Generale SA, 4.25%, due 09/14/2023 | 0.32% |
| AbbVie, Inc., 2.95%, due 11/21/2026 | 0.32% |
| Ashford Hospitality Trust, Series 2018-AHT1, Class A, 1.17%, due 06/15/2035 | 0.32% |
| Simon Property Group, LP, 2.00%, due 09/13/2024 | 0.32% |
| Barings Euro CLO, Series 2016-1A, Class A1R, 0.68%, due 07/27/2030 | 0.32% |
| Synchrony Bank, 3.65%, due 05/24/2021 | 0.32% |
| JPMorgan Chase & Co., 3.90%, due 07/15/2025 | 0.32% |
| NextEra Energy Capital Holdings, Inc., 3.20%, due 02/25/2022 | 0.32% |
| Standard Chartered PLC, 4.24%, due 01/20/2023 | 0.32% |
| AT&T, Inc., 2.75%, due 06/01/2031 | 0.32% |
| Government National Mortgage Association, 0.94%, due 10/20/2066 | 0.32% |
| Daimler Finance North America LLC, 3.35%, due 05/04/2021 | 0.32% |
| Boston Gas Co., 3.00%, due 08/01/2029 | 0.31% |
| BMW Finance NV, 2.25%, due 08/12/2022 | 0.31% |
| NextEra Energy Capital Holdings, Inc., 1.95%, due 09/01/2022 | 0.31% |
| Capital One Financial Corp., 4.25%, due 04/30/2025 | 0.31% |
| RASC Trust, Series 2005-KS11, Class M2, 0.59%, due 12/25/2035 | 0.31% |
| Tennessee Gas Pipeline Co. LLC, 2.90%, due 03/01/2030 | 0.31% |
| NatWest Markets PLC, Series MTN, 0.62%, due 03/02/2022 | 0.31% |
| AT&T, Inc., 1.49%, due 06/12/2024 | 0.31% |
| OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, due 12/16/2024 | 0.31% |
| AT&T, Inc., 2.25%, due 02/01/2032 | 0.31% |
| Welltower, Inc., 4.25%, due 04/15/2028 | 0.31% |
| Volkswagen Group of America Finance LLC, 1.20%, due 11/13/2020 | 0.31% |
| Jackson National Life Global Funding, 2.37%, due 09/15/2022 | 0.30% |
| General Motors Financial Co., Inc., 4.20%, due 11/06/2021 | 0.30% |
| Barclays PLC, 7.75%, due 09/15/2023 | 0.30% |
| Credit Suisse Group AG, 1.55%, due 06/12/2024 | 0.30% |
| UniCredit SpA, 7.83%, due 12/04/2023 | 0.30% |
| Gallatin CLO IX, Ltd., Series 2018-1A, Class A, 1.32%, due 01/21/2028 | 0.30% |
| Ford Motor Credit Co. LLC, 5.75%, due 02/01/2021 | 0.30% |
| Walt Disney Co., 3.60%, due 01/13/2051 | 0.30% |
| Ford Motor Credit Co. LLC, 3.20%, due 01/15/2021 | 0.30% |
| Deutsche Bank AG, 3.37%, due 05/12/2021 | 0.30% |
| Shell International Finance BV, 2.75%, due 04/06/2030 | 0.29% |
| Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, 1.17%, due 10/15/2027 | 0.29% |
| GLP Capital, LP / GLP Financing II, Inc., 4.00%, due 01/15/2030 | 0.29% |
| OneMain Finance Corp., 6.87%, due 03/15/2025 | 0.29% |
| AvalonBay Communities, Inc., Series MTN, 3.45%, due 06/01/2025 | 0.28% |
| RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2B, 0.46%, due 06/12/2044 | 0.28% |
| Nissan Motor Acceptance Corp., Series MTN, 2.60%, due 09/28/2022 | 0.28% |
| HCA, Inc., 5.37%, due 09/01/2026 | 0.28% |
| Broadcom, Inc., 3.45%, due 09/15/2026 | 0.28% |
| Federal National Mortgage Association, 4.00%, due 11/01/2048 | 0.27% |
| TICP CLO I, Ltd., Series 2015-1A, Class AR, 1.07%, due 07/20/2027 | 0.27% |
| GS Mortgage Securities Trust, Series 2016-RENT, Class A, 3.20%, due 02/10/2029 | 0.27% |
| Government National Mortgage Association, 4.00%, due 06/20/2047 | 0.27% |
| Government National Mortgage Association, 5.00%, due 08/20/2048 | 0.27% |
| Broadcom, Inc., 4.11%, due 09/15/2028 | 0.27% |
| Barclays Bank PLC, 10.17%, due 06/12/2021 | 0.27% |
| Venture XVI CLO, Ltd., Series 2014-16A, Class ARR, 1.12%, due 01/15/2028 | 0.27% |
| LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, 1.30%, due 05/15/2028 | 0.27% |
| Chevron Corp., 2.23%, due 05/11/2030 | 0.27% |
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, due 03/01/2025 | 0.27% |
| Service Properties Trust, 4.35%, due 10/01/2024 | 0.27% |
| U.S. Treasury Note, 1.75%, due 09/30/2022 | 0.26% |
| Unibail-Rodamco-Westfield SE, Series MTN, 1.00%, due 03/14/2025 | 0.26% |
| Structured Asset Investment Loan Trust, Series 2005-9, Class M1, 0.59%, due 11/25/2035 | 0.26% |
| Delta Air Lines Pass-Through Trust, 6.82%, due 02/10/2024 | 0.26% |
| UBS Group AG, 4.25%, due 03/23/2028 | 0.26% |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class ASB, 3.06%, due 02/15/2048 | 0.26% |
| Allstate Corp., 0.93%, due 03/29/2023 | 0.26% |
| Wells Fargo & Co., Series MTN, 2.62%, due 07/22/2022 | 0.26% |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB, 3.55%, due 12/15/2047 | 0.26% |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC1, Class A1, 0.33%, due 12/25/2036 | 0.26% |
| Lloyds Banking Group PLC, 4.05%, due 08/16/2023 | 0.25% |
| Lloyds Banking Group PLC, 2.85%, due 03/17/2023 | 0.25% |
| Reckitt Benckiser Treasury Services PLC, 2.37%, due 06/24/2022 | 0.25% |
| NextEra Energy Capital Holdings, Inc., Series MTN, 2.20%, due 12/02/2026 | 0.25% |
| Deutsche Bank AG, 5.00%, due 02/14/2022 | 0.25% |
| Mitsubishi UFJ Financial Group, Inc., 3.40%, due 03/07/2024 | 0.25% |
| Wells Fargo Bank NA, 3.55%, due 08/14/2023 | 0.25% |
| Adani Ports & Special Economic Zone, Ltd., 4.20%, due 08/04/2027 | 0.25% |
| Option One Mortgage Loan Trust, Series 2007-5, Class 1A1, 0.39%, due 05/25/2037 | 0.25% |
| Level 3 Financing, Inc., 3.40%, due 03/01/2027 | 0.25% |
| Mizuho Financial Group, Inc., 1.24%, due 07/10/2024 | 0.25% |
| American Tower Corp., 2.40%, due 03/15/2025 | 0.25% |
| Natwest Group PLC, 4.51%, due 06/25/2024 | 0.25% |
| Canadian Imperial Bank of Commerce, 0.95%, due 06/23/2023 | 0.25% |
| Volkswagen Group of America Finance LLC, 1.15%, due 09/24/2021 | 0.25% |
| Federal National Mortgage Association, 4.00%, due 02/01/2048 | 0.24% |
| Credit Suisse Group Funding Guernsey, Ltd., 2.56%, due 04/16/2021 | 0.24% |
| TICP CLO III, Ltd., Series 2018-3R, Class A, 1.11%, due 04/20/2028 | 0.24% |
| Barclays PLC, 2.55%, due 08/10/2021 | 0.24% |
| Jersey Central Power & Light Co., 4.70%, due 04/01/2024 | 0.24% |
| Syngenta Finance NV, 4.44%, due 04/24/2023 | 0.24% |
| Government National Mortgage Association, 0.79%, due 09/20/2065 | 0.24% |
| Mitsubishi UFJ Financial Group, Inc., 3.45%, due 03/02/2023 | 0.24% |
| Government National Mortgage Association, 0.97%, due 06/20/2066 | 0.24% |
| Ambac LSNI LLC, 6.00%, due 02/12/2023 | 0.24% |
| Barclays PLC, 1.89%, due 01/10/2023 | 0.24% |
| Natwest Group PLC, 3.49%, due 05/15/2023 | 0.24% |
| KVK CLO, Ltd., Series 2013-1A, Class AR, 1.16%, due 01/14/2028 | 0.24% |
| Alternative Loan Trust, Series 2005-76, Class 1A2, 3.32%, due 01/25/2036 | 0.23% |
| Federal National Mortgage Association, 4.00%, due 09/01/2048 | 0.23% |
| Venture XII CLO, Ltd., Series 2012-12A, Class ARR, 1.17%, due 02/28/2026 | 0.23% |
| U.S. Treasury Bond, 4.50%, due 08/15/2039 | 0.23% |
| Uniform Mortgage-Backed Security, 5.00%, TBA | 0.23% |
| JT International Financial Services BV, Series MTN, 3.50%, due 09/28/2023 | 0.22% |
| BCAP LLC Trust, Series 2009-RR3, Class 2A2, 3.39%, due 05/26/2037 | 0.22% |
| Imperial Brands Finance PLC, 3.50%, due 07/26/2026 | 0.22% |
| Alexandria Real Estate Equities, Inc., 4.30%, due 01/15/2026 | 0.22% |
| Government National Mortgage Association, 0.77%, due 09/20/2065 | 0.22% |
| Monarch Grove CLO Trust, Series 2018-1A, Class A1, 1.12%, due 01/25/2028 | 0.22% |
| Government National Mortgage Association, 2.91%, due 09/20/2067 | 0.22% |
| Microchip Technology, Inc., 3.92%, due 06/01/2021 | 0.21% |
| Deutsche Bank AG, 3.30%, due 11/16/2022 | 0.21% |
| Federal National Mortgage Association, 3.50%, due 04/01/2045 | 0.21% |
| GS Mortgage Securities Trust, Series 2016-GS3, Class AAB, 2.77%, due 10/10/2049 | 0.21% |
| Government National Mortgage Association, 0.77%, due 08/20/2065 | 0.21% |
| IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A, 0.34%, due 01/25/2037 | 0.21% |
| Teva Pharmaceutical Finance II BV, 3.25%, due 04/15/2022 | 0.20% |
| Crown Castle International Corp., 5.25%, due 01/15/2023 | 0.20% |
| Chesapeake Funding II LLC, Series 2018-2A, Class A1, 3.23%, due 08/15/2030 | 0.20% |
| BBCMS Mortgage Trust, Series 2015-STP, Class A, 3.32%, due 09/10/2028 | 0.20% |
| Citigroup, Inc., 1.78%, due 09/01/2023 | 0.20% |
| Government National Mortgage Association, 5.00%, due 04/20/2049 | 0.20% |
| AbbVie, Inc., 3.37%, due 11/14/2021 | 0.20% |
| Government National Mortgage Association, 0.77%, due 04/20/2065 | 0.20% |
| Bayer US Finance II LLC, 4.25%, due 12/15/2025 | 0.20% |
| Nomura Holdings, Inc., 2.67%, due 07/16/2030 | 0.20% |
| Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates, Series 2004-OPT1, Class M3, 1.11%, due 10/25/2034 | 0.20% |
| Pacific Gas & Electric Co., 1.75%, due 06/16/2022 | 0.20% |
| Pacific Gas & Electric Co., 3.15%, due 01/01/2026 | 0.20% |
| Government National Mortgage Association, 4.00%, TBA | 0.19% |
| Deutsche Bank AG, 4.25%, due 10/14/2021 | 0.19% |
| Aurium CLO II DAC, Series 2A, Class AR, 0.68%, due 10/13/2029 | 0.19% |
| Government National Mortgage Association, 0.75%, due 06/20/2065 | 0.19% |
| Edison International, 3.55%, due 11/15/2024 | 0.19% |
| Swap Agreement, Receive, 3-Month USD-LIBOR | 0.19% |
| Mitsubishi UFJ Lease & Finance Co., Ltd., Series MTN, 2.25%, due 09/07/2021 | 0.19% |
| Federal National Mortgage Association, 4.00%, due 09/01/2048 | 0.19% |
| BBVA USA, 2.50%, due 08/27/2024 | 0.19% |
| Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/2026 | 0.19% |
| General Motors Financial Co., Inc., 1.11%, due 04/09/2021 | 0.19% |
| Federal Home Loan Mortgage Corp. REMIC, 0.57%, due 06/15/2041 | 0.19% |
| T-Mobile USA, Inc., 2.55%, due 02/15/2031 | 0.18% |
| Charter Communications Operating LLC / Charter Communications Operating Capital, 4.46%, due 07/23/2022 | 0.18% |
| Wyndham Hotels & Resorts, Inc., Term Loan B, 1.91%, due 05/30/2025 | 0.18% |
| Uniform Mortgage-Backed Security, 5.00%, TBA | 0.18% |
| Countrywide Asset-Backed Certificates, Series 2007-2, Class 2A3, 0.31%, due 08/25/2037 | 0.18% |
| Barclays PLC, 7.87%, due 09/15/2022 | 0.18% |
| Natwest Group PLC, 8.62%, due 08/15/2021 | 0.18% |
| Florida Power & Light Co., 3.70%, due 12/01/2047 | 0.18% |
| Government National Mortgage Association, 0.77%, due 07/20/2065 | 0.18% |
| SLM Student Loan Trust, Series 2003-11, Class A6, 0.86%, due 12/15/2025 | 0.18% |
| Octagon Investment Partners XXIII, Ltd., Series 2015-1A, Class A1R, 1.12%, due 07/15/2027 | 0.18% |
| Cooperatieve Rabobank UA, 6.62%, due 06/29/2021 | 0.18% |
| Latam Airlines Pass-Through Trust, 4.20%, due 08/15/2029 | 0.17% |
| Keurig Dr. Pepper, Inc., 4.05%, due 05/25/2023 | 0.17% |
| Aviation Capital Group LLC, 3.87%, due 05/01/2023 | 0.17% |
| Credit Suisse Group Funding Guernsey, Ltd., 3.45%, due 04/16/2021 | 0.17% |
| Government National Mortgage Association, 0.77%, due 10/20/2065 | 0.17% |
| Option One Mortgage Loan Trust, Series 2007-2, Class 1A1, 0.31%, due 03/25/2037 | 0.17% |
| Government National Mortgage Association, 4.50%, due 06/20/2048 | 0.17% |
| BAT Capital Corp., 3.55%, due 08/15/2027 | 0.17% |
| Venture XX CLO, Ltd., Series 2015-20A, Class AR, 1.09%, due 04/15/2027 | 0.16% |
| Takeda Pharmaceutical Co., Ltd., 2.05%, due 03/31/2030 | 0.16% |
| Charter Communications Operating LLC / Charter Communications Operating Capital, 1.90%, due 02/01/2024 | 0.16% |
| New York State Urban Development Corp., 1.77%, due 03/15/2028 | 0.16% |
| Spirit AeroSystems, Inc., 3.95%, due 06/15/2023 | 0.16% |
| Wachovia Mortgage Loan Trust, Series 2005-WMC1, Class M2, 0.86%, due 10/25/2035 | 0.16% |
| Goldman Sachs Group, Inc., 1.10%, due 02/23/2023 | 0.16% |
| Federal National Mortgage Association, 4.00%, due 12/01/2048 | 0.16% |
| NTT Finance Corp., Series MTN, 1.90%, due 07/21/2021 | 0.16% |
| CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 1.52%, due 10/25/2037 | 0.16% |
| Barclays Bank PLC, 7.62%, due 11/21/2022 | 0.16% |
| FirstEnergy Corp., 3.90%, due 07/15/2027 | 0.16% |
| Lloyds Banking Group PLC, 7.62%, due 06/27/2023 | 0.15% |
| Sasol Financing USA LLC, 5.87%, due 03/27/2024 | 0.15% |
| JetBlue Pass-Through Trust, 2.75%, due 11/15/2033 | 0.15% |
| OCP CLO, Ltd., Series 2015-9A, Class A1R, 1.07%, due 07/15/2027 | 0.15% |
| Government National Mortgage Association, 4.00%, due 03/20/2048 | 0.15% |
| Federal Home Loan Mortgage Corp., 4.00%, due 01/01/2049 | 0.15% |
| Government National Mortgage Association, 0.92%, due 08/20/2067 | 0.15% |
| Federal National Mortgage Association, 3.00%, due 08/01/2049 | 0.14% |
| U.S. Treasury Bond, 4.25%, due 05/15/2039 | 0.14% |
| Countrywide Asset-Backed Certificates, Series 2006-20, Class 1A, 0.31%, due 04/25/2047 | 0.14% |
| Teva Pharmaceutical Finance II BV, 1.25%, due 03/31/2023 | 0.14% |
| Alternative Loan Trust, Series 2005-80CB, Class 1A1, 6.00%, due 02/25/2036 | 0.14% |
| AbbVie, Inc., 3.75%, due 11/14/2023 | 0.13% |
| Campbell Soup Co., 3.30%, due 03/15/2021 | 0.13% |
| Home Equity Asset Trust, Series 2004-4, Class M1, 0.95%, due 10/25/2034 | 0.13% |
| Volkswagen Bank GmbH, Series MTN, 1.87%, due 01/31/2024 | 0.13% |
| Master Asset-Backed Securities Trust, Series 2007-HE2, Class A1, 1.32%, due 08/25/2037 | 0.13% |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-FS1, Class 1A1, 4.42%, due 10/25/2037 | 0.13% |
| Federal National Mortgage Association REMIC, 0.62%, due 09/25/2046 | 0.12% |
| Federal Home Loan Mortgage Corp., 3.50%, due 08/01/2049 | 0.12% |
| GSR Mortgage Loan Trust, Series 2005-8F, Class 2A6, 5.50%, due 11/25/2035 | 0.12% |
| Benefit Street Partners CLO VII, Ltd., Series 2015-VIIA, Class A1AR, 1.05%, due 07/18/2027 | 0.12% |
| Government National Mortgage Association, 1.12%, due 12/20/2066 | 0.12% |
| Brandywine Operating Partnership, LP, 3.95%, due 11/15/2027 | 0.12% |
| UBS Group AG, 4.12%, due 09/24/2025 | 0.12% |
| Federal National Mortgage Association, 4.00%, due 10/01/2048 | 0.11% |
| Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A, 0.62%, due 05/15/2023 | 0.11% |
| Federal Home Loan Mortgage Corp., 4.00%, due 04/01/2048 | 0.11% |
| Alternative Loan Trust, Series 2005-J12, Class 2A1, 0.71%, due 08/25/2035 | 0.11% |
| American International Group, Inc., 3.75%, due 07/10/2025 | 0.11% |
| Time Warner Cable LLC, 4.00%, due 09/01/2021 | 0.11% |
| Choice Hotels International, Inc., 3.70%, due 12/01/2029 | 0.11% |
| Aircastle, Ltd., 5.12%, due 03/15/2021 | 0.11% |
| Molson Coors Beverage Co., 2.10%, due 07/15/2021 | 0.11% |
| GSAMP Trust, Series 2005-HE1, Class M2, 1.49%, due 12/25/2034 | 0.11% |
| CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-9, Class MV4, 1.74%, due 11/25/2034 | 0.11% |
| IndyMac INDX Mortgage Loan Trust, Series 2006-R1, Class A3, 3.30%, due 12/25/2035 | 0.11% |
| Adams Mill CLO, Ltd., Series 2014-1A, Class A1R, 1.37%, due 07/15/2026 | 0.11% |
| Cent CLO 19, Ltd., Series 2013-19A, Class A1A, 1.59%, due 10/29/2025 | 0.11% |
| Reperforming Loan REMIC Trust, Series 2006-R1, Class AF1, 0.51%, due 01/25/2036 | 0.11% |
| Federal Realty Investment Trust, 3.50%, due 06/01/2030 | 0.10% |
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC, 3.36%, due 03/20/2023 | 0.10% |
| State of Illinois, 6.63%, due 02/01/2035 | 0.10% |
| Federal National Mortgage Association, 3.51%, due 01/01/2036 | 0.10% |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.10% |
| AT&T, Inc., 3.40%, due 06/15/2022 | 0.10% |
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W4, Class A2D, 0.55%, due 02/25/2036 | 0.10% |
| Voya CLO, Ltd., Series 2014-3A, Class A1R, 0.96%, due 07/25/2026 | 0.10% |
| General Motors Financial Co., Inc., Series MTN, 0.15%, due 03/26/2022 | 0.10% |
| Federal National Mortgage Association, 3.50%, due 05/01/2049 | 0.10% |
| Federal National Mortgage Association, 4.00%, due 03/01/2049 | 0.10% |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8, Class 1A2, 3.72%, due 09/25/2036 | 0.10% |
| Tayarra, Ltd., 3.62%, due 02/15/2022 | 0.10% |
| Pacific Gas & Electric Co., 3.40%, due 08/15/2024 | 0.10% |
| Bayer US Finance II LLC, 3.50%, due 06/25/2021 | 0.09% |
| Wells Fargo & Co., 1.49%, due 10/31/2023 | 0.09% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 3A3, 3.64%, due 02/25/2037 | 0.09% |
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M3, 0.93%, due 07/25/2035 | 0.09% |
| Countrywide Asset-Backed Certificates, Series 2006-24, Class 2A3, 0.32%, due 06/25/2047 | 0.09% |
| Eurosail PLC, Series 2007-3X, Class A3C, 1.14%, due 06/13/2045 | 0.09% |
| Pacific Gas & Electric Co., 3.45%, due 07/01/2025 | 0.09% |
| WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3, 0.42%, due 04/25/2037 | 0.09% |
| Enel Finance International NV, 4.25%, due 09/14/2023 | 0.09% |
| Bear Stearns Alt-A Trust, Series 2006-6, Class 31A1, 3.54%, due 11/25/2036 | 0.09% |
| Digital Realty Trust, LP, 3.70%, due 08/15/2027 | 0.08% |
| Banc of America Funding Trust, Series 2005-D, Class A1, 3.91%, due 05/25/2035 | 0.08% |
| U.S. Treasury Bond, 4.62%, due 02/15/2040 | 0.08% |
| Pacific Gas & Electric Co., 4.25%, due 08/01/2023 | 0.08% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY4, Class 2A2, 3.17%, due 04/25/2037 | 0.08% |
| Business Mortgage Finance 7 PLC, Series 7X, Class A1, 2.29%, due 02/15/2041 | 0.08% |
| Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 1.14%, due 06/25/2034 | 0.08% |
| Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A2, 5.50%, due 04/25/2035 | 0.08% |
| BP Capital Markets America, Inc., 3.79%, due 02/06/2024 | 0.08% |
| American Home Mortgage Assets Trust, Series 2007-1, Class A1, 2.02%, due 02/25/2047 | 0.08% |
| U.S. Treasury Bond, 2.75%, due 11/15/2042 | 0.08% |
| Alternative Loan Trust, Series 2006-OA12, Class A1B, 0.37%, due 09/20/2046 | 0.08% |
| GS Mortgage Securities Trust, Series 2016-GS3, Class WMA, 3.60%, due 10/10/2049 | 0.08% |
| CBL & Associates, LP, 5.95%, due 12/15/2026 | 0.08% |
| U.S. Treasury Bond, 4.37%, due 05/15/2040 | 0.07% |
| Evergy, Inc., 2.45%, due 09/15/2024 | 0.07% |
| RALI Trust, Series 2007-QO2, Class A1, 0.32%, due 02/25/2047 | 0.07% |
| CVS Health Corp., 3.50%, due 07/20/2022 | 0.07% |
| Residential Asset Securitization Trust, Series 2007-A2, Class 2A2, 6.50%, due 04/25/2037 | 0.07% |
| Continental Airlines Pass-Through Trust, 4.15%, due 10/11/2025 | 0.07% |
| Alexandria Real Estate Equities, Inc., 3.37%, due 08/15/2031 | 0.07% |
| Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class AR, 1.35%, due 10/22/2025 | 0.07% |
| Alternative Loan Trust, Series 2006-OA21, Class A1, 0.37%, due 03/20/2047 | 0.07% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 0.46%, due 10/25/2045 | 0.07% |
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C, 0.42%, due 03/25/2037 | 0.06% |
| Bear Stearns Alt-A Trust, Series 2005-8, Class 21A1, 3.56%, due 10/25/2035 | 0.06% |
| Federal Home Loan Mortgage Corp., 4.00%, due 10/01/2048 | 0.06% |
| Hudson Pacific Properties, LP, 4.65%, due 04/01/2029 | 0.06% |
| Kuwait International Government Bond, 2.75%, due 03/20/2022 | 0.06% |
| MPT Operating Partnership, LP / MPT Finance Corp., 2.55%, due 12/05/2023 | 0.06% |
| Federal Home Loan Mortgage Corp., 4.00%, due 09/01/2048 | 0.06% |
| U.S. Treasury Bond, 4.37%, due 11/15/2039 | 0.06% |
| AbbVie, Inc., 5.00%, due 12/15/2021 | 0.06% |
| Emera US Finance, LP, 2.70%, due 06/15/2021 | 0.06% |
| RALI Trust, Series 2005-QA13, Class 2A1, 4.43%, due 12/25/2035 | 0.06% |
| Expedia Group, Inc., 3.80%, due 02/15/2028 | 0.05% |
| JPMorgan Chase & Co., 3.55%, due 04/23/2024 | 0.05% |
| Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-A, Class 1A, 0.39%, due 04/25/2037 | 0.05% |
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2, 1.10%, due 11/25/2034 | 0.05% |
| Federal National Mortgage Association, 5.00%, due 08/01/2026 | 0.05% |
| Pacific Gas & Electric Co., 3.50%, due 06/15/2025 | 0.05% |
| ING Groep NV, 4.62%, due 01/06/2026 | 0.05% |
| Futures Contracts, Long, 5-Year U.S. Treasury Note | 0.05% |
| Uniform Mortgage-Backed Security, 2.00%, TBA | 0.05% |
| Mountain Hawk III CLO, Ltd., Series 2014-3A, Class AR, 1.47%, due 04/18/2025 | 0.05% |
| Federal Home Loan Mortgage Corp., 4.00%, due 08/01/2048 | 0.04% |
| RASC Trust, Series 2006-EMX1, Class M1, 0.58%, due 01/25/2036 | 0.04% |
| Ford Motor Credit Co. LLC, Series MTN, 0.08%, due 12/01/2021 | 0.04% |
| Government National Mortgage Association, 4.00%, due 04/20/2048 | 0.04% |
| Sabra Health Care, LP, 3.90%, due 10/15/2029 | 0.04% |
| Government National Mortgage Association, 4.00%, due 01/20/2045 | 0.04% |
| Alternative Loan Trust, Series 2007-HY4, Class 1A1, 2.93%, due 06/25/2037 | 0.04% |
| RASC Trust, Series 2006-KS9, Class AI3, 0.33%, due 11/25/2036 | 0.04% |
| Federal National Mortgage Association, 4.00%, due 10/01/2047 | 0.03% |
| Futures Contracts, Long, 10-Year U.S. Treasury Note | 0.03% |
| Federal Home Loan Mortgage Corp., 4.00%, due 12/01/2047 | 0.03% |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, 3.58%, due 09/25/2035 | 0.03% |
| Kentucky State Property & Building Commission, Series C, 4.40%, due 11/01/2020 | 0.03% |
| Morgan Stanley Mortgage Loan Trust, Series 2007-14AR, Class 1A3, 4.02%, due 10/25/2037 | 0.03% |
| Odebrecht Offshore Drilling Finance, Ltd., 6.72%, due 12/01/2022 | 0.03% |
| CSMC Trust, Series 2008-3R, Class 1A2, 3.28%, due 07/26/2037 | 0.03% |
| Soundview Home Loan Trust, Series 2006-OPT2, Class A3, 0.35%, due 05/25/2036 | 0.03% |
| Sofi Professional Loan Program Trust, Series 2018-B, Class A1FX, 2.64%, due 08/25/2047 | 0.03% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2005-AQ1, Class M2, 0.82%, due 03/25/2035 | 0.03% |
| Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, due 02/25/2042 | 0.02% |
| Government National Mortgage Association, 4.00%, due 10/20/2044 | 0.02% |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 2.52%, due 10/25/2044 | 0.02% |
| Alternative Loan Trust, Series 2007-9T1, Class 1A10, 6.00%, due 05/25/2037 | 0.02% |
| U.S. Small Business Administration, Series 2008-20L, Class 1, 6.22%, due 12/01/2028 | 0.02% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A, 4.25%, due 09/25/2033 | 0.02% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 1A1, 3.69%, due 09/25/2036 | 0.02% |
| CVS Health Corp., 4.00%, due 12/05/2023 | 0.02% |
| Bear Stearns Alt-A Trust, Series 2006-R1, Class 2E21, 3.43%, due 08/25/2036 | 0.02% |
| Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1, 0.28%, due 02/25/2037 | 0.02% |
| Federal National Mortgage Association, 5.00%, due 09/01/2024 | 0.02% |
| U.S. Treasury Bill, 0.12%, due 08/06/2020 | 0.02% |
| Federal National Mortgage Association, 4.00%, due 11/01/2048 | 0.02% |
| Odebrecht Offshore Drilling Finance, Ltd., 7.72%, due 12/01/2026 | 0.02% |
| Sequoia Mortgage Trust, Series 2004-12, Class A1, 0.72%, due 01/20/2035 | 0.02% |
| Bear Stearns Alt-A Trust, Series 2006-6, Class 32A1, 3.66%, due 11/25/2036 | 0.02% |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Interest Only STRIPS, 1.22%, due 08/25/2022 | 0.02% |
| NACC Reperforming Loan REMIC Trust, Series 2004-R1, Class A1, 6.50%, due 03/25/2034 | 0.01% |
| Pacific Gas & Electric Co., 3.30%, due 12/01/2027 | 0.01% |
| Federal National Mortgage Association, 5.00%, due 09/01/2026 | 0.01% |
| AbbVie, Inc., 3.45%, due 03/15/2022 | 0.01% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A2, 0.37%, due 04/25/2037 | 0.01% |
| Federal Home Loan Mortgage Corp., 3.50%, due 03/01/2048 | 0.01% |
| RFMSI Trust, Series 2005-SA4, Class 1A21, 4.07%, due 09/25/2035 | 0.01% |
| Government National Mortgage Association, 0.54%, due 10/20/2066 | 0.01% |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 2.72%, due 07/25/2044 | 0.01% |
| Alternative Loan Trust, Series 2005-56, Class 5A2, 0.94%, due 11/25/2035 | 0.01% |
| Reperforming Loan REMIC Trust, Series 2003-R4, Class 2A, 4.93%, due 01/25/2034 | 0.01% |
| Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1, 0.51%, due 06/25/2035 | 0.01% |
| Banco Espirito Santo SA, Series MTN, 2.62%, due 05/08/2017 | 0.01% |
| Sprint Corp., 7.12%, due 06/15/2024 | 0.01% |
| Bear Stearns Alt-A Trust, Series 2006-8, Class 3A1, 0.33%, due 02/25/2034 | 0.01% |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2C, 0.34%, due 05/25/2037 | 0.01% |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.01% |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1, 3.49%, due 02/25/2037 | 0.01% |
| Federal National Mortgage Association, 3.25%, due 08/01/2035 | 0.01% |
| U.S. Treasury Note, 2.00%, due 10/31/2022 | 0.01% |
| HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1A, 0.38%, due 09/19/2046 | 0.01% |
| Federal National Mortgage Association, 4.11%, due 09/01/2035 | 0.01% |
| Bear Stearns ARM Trust, Series 2003-5, Class 2A1, 3.12%, due 08/25/2033 | 0.01% |
| Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE6, Class M2, 1.17%, due 06/25/2035 | 0.01% |
| B&M CLO, Ltd., Series 2014-1A, Class A1R, 1.00%, due 04/16/2026 | 0.01% |
| GSR Mortgage Loan Trust, Series 2004-12, Class 1A1, 0.51%, due 12/25/2034 | 0.01% |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1, 3.44%, due 02/25/2035 | 0.01% |
| Federal National Mortgage Association, 5.00%, due 09/01/2026 | 0.01% |
| Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1, 3.52%, due 01/26/2036 | 0.01% |
| Government National Mortgage Association, 5.00%, due 10/20/2049 | 0.01% |
| U.S. Small Business Administration, Series 2004-20C, Class 1, 4.34%, due 03/01/2024 | 0.01% |
| Banc of America Funding Trust, Series 2006-D, Class 5A1, 3.57%, due 05/20/2036 | 0.01% |
| Federal Home Loan Mortgage Corp., 4.18%, due 09/01/2035 | 0.01% |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 2A1, 3.56%, due 06/25/2033 | 0.01% |
| Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1, 3.32%, due 12/26/2046 | 0.01% |
| RALI Trust, Series 2005-QO3, Class A1, 0.97%, due 10/25/2045 | 0.01% |
| Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M1, 0.56%, due 03/25/2036 | 0.01% |
| Federal National Mortgage Association, 4.00%, due 12/01/2040 | 0.01% |
| Federal National Mortgage Association, 4.00%, due 12/01/2040 | 0.01% |
| Banco Espirito Santo SA, Series MTN, 4.00%, due 01/21/2019 | 0.01% |
| HCA, Inc., 5.87%, due 02/01/2029 | 0.01% |
| Government National Mortgage Association, 0.87%, due 10/20/2065 | 0.01% |
| Reperforming Loan REMIC Trust, Series 2004-R1, Class 2A, 6.50%, due 11/25/2034 | 0.01% |
| Swap Agreement, Receive, Tesco PLC, 6.00%, 12/14/2029 | 0.01% |
| Alternative Loan Trust, Series 2005-14, Class 2A1, 0.38%, due 05/25/2035 | 0.01% |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A, 0.45%, due 02/25/2036 | 0.01% |
| Futures Contracts, Long, German Euro BUXL | 0.01% |
| Service Properties Trust, 4.25%, due 02/15/2021 | 0.01% |
| Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A1, 3.84%, due 09/25/2035 | 0.00%** |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 2A, 2.30%, due 07/25/2046 | 0.00%** |
| Bear Stearns ARM Trust, Series 2006-4, Class 1A1, 4.12%, due 10/25/2036 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 07/01/2024 | 0.00%** |
| Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21, 3.46%, due 01/25/2036 | 0.00%** |
| Soundview Home Loan Trust, Series 2005-3, Class M3, 0.99%, due 06/25/2035 | 0.00%** |
| GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 3.98%, due 09/25/2035 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 09/01/2026 | 0.00%** |
| Bear Stearns Asset-Backed Securities Trust, Series 2006-SD3, Class 21A1, 3.95%, due 07/25/2036 | 0.00%** |
| Adjustable Rate Mortgage Trust, Series 2005-5, Class 2A1, 3.82%, due 09/25/2035 | 0.00%** |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR1, Class 2A1, 2.57%, due 08/25/2035 | 0.00%** |
| Federal National Mortgage Association, 2.70%, due 06/01/2043 | 0.00%** |
| Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2, 2.29%, due 09/25/2035 | 0.00%** |
| CHL Mortgage Pass-Through Trust, Series 2005-HY10, Class 5A1, 3.40%, due 02/20/2036 | 0.00%** |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.43%, due 07/19/2035 | 0.00%** |
| Bear Stearns ARM Trust, Series 2004-10, Class 22A1, 4.37%, due 01/25/2035 | 0.00%** |
| Adjustable Rate Mortgage Trust, Series 2005-4, Class 1A1, 2.57%, due 08/25/2035 | 0.00%** |
| Bear Stearns ARM Trust, Series 2003-8, Class 4A1, 4.01%, due 01/25/2034 | 0.00%** |
| ABFC Trust, Series 2004-OPT4, Class A1, 0.79%, due 04/25/2034 | 0.00%** |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 6.50%, due 07/25/2043 | 0.00%** |
| Federal National Mortgage Association, 3.12%, due 05/01/2035 | 0.00%** |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, 3.09%, due 01/25/2035 | 0.00%** |
| Federal National Mortgage Association, 5.50%, due 01/01/2025 | 0.00%** |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1, 0.43%, due 07/19/2035 | 0.00%** |
| Federal National Mortgage Association, 4.50%, due 07/01/2041 | 0.00%** |
| Federal Home Loan Mortgage Corp., 5.00%, due 07/01/2025 | 0.00%** |
| Banc of America Funding Trust, Series 2006-J, Class 4A1, 4.18%, due 01/20/2047 | 0.00%** |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A1, 3.61%, due 09/25/2034 | 0.00%** |
| Federal National Mortgage Association, 3.48%, due 08/01/2036 | 0.00%** |
| Federal National Mortgage Association, 4.00%, due 03/01/2041 | 0.00%** |
| Federal Home Loan Mortgage Corp., 3.56%, due 09/01/2035 | 0.00%** |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1, 3.41%, due 08/25/2035 | 0.00%** |
| Bear Stearns ARM Trust, Series 2003-9, Class 2A1, 3.88%, due 02/25/2034 | 0.00%** |
| BCAP LLC Trust, Series 2013-RR12, Class 1A3, 0.68%, due 05/26/2035 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 06/01/2037 | 0.00%** |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2, 0.43%, due 07/19/2035 | 0.00%** |
| Bear Stearns ARM Trust, Series 2003-8, Class 2A1, 4.09%, due 01/25/2034 | 0.00%** |
| Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.25%, due 12/25/2033 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 05/01/2037 | 0.00%** |
| U.S. Small Business Administration, Series 2003-20I, Class 1, 5.13%, due 09/01/2023 | 0.00%** |
| First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1, 3.11%, due 08/25/2035 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 12/01/2022 | 0.00%** |
| CHL Mortgage Pass-Through Trust, Series 2004-12, Class 11A1, 3.01%, due 08/25/2034 | 0.00%** |
| Federal Home Loan Mortgage Corp. REMIC, 0.52%, due 12/15/2029 | 0.00%** |
| MASTR Alternative Loan Trust, Series 2006-2, Class 2A1, 0.57%, due 03/25/2036 | 0.00%** |
| Federal National Mortgage Association, 3.98%, due 01/01/2028 | 0.00%** |
| Alternative Loan Trust, Series 2005-62, Class 2A1, 2.32%, due 12/25/2035 | 0.00%** |
| Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1, 0.84%, due 09/19/2032 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Federal National Mortgage Association, 5.50%, due 09/01/2027 | 0.00%** |
| Federal National Mortgage Association, 3.38%, due 08/01/2035 | 0.00%** |
| Sequoia Mortgage Trust, Series 2010, Class 2A1, 0.94%, due 10/20/2027 | 0.00%** |
| Bear Stearns Asset-Backed Securities Trust, Series 2002-2, Class A1, 0.83%, due 10/25/2032 | 0.00%** |
| Federal Home Loan Mortgage Corp., 3.15%, due 08/01/2023 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Federal National Mortgage Association, 3.47%, due 12/01/2034 | 0.00%** |
| Federal National Mortgage Association, 4.17%, due 10/01/2035 | 0.00%** |
| RFMSI Trust, Series 2003-S9, Class A1, 6.50%, due 03/25/2032 | 0.00%** |
| Federal National Mortgage Association, 2.53%, due 07/01/2032 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 01/01/2023 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 3.81%, due 01/25/2036 | 0.00%** |
| Home Equity Asset Trust, Series 2002-1, Class A4, 0.77%, due 11/25/2032 | 0.00%** |
| Odebrecht Oil & Gas Finance, Ltd., Zero Coupon, due 08/31/2020 | 0.00%** |
| Federal National Mortgage Association, 5.00%, due 06/01/2023 | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Option Written, PUT, Federal National Mortgage Association, 2.00%, TBA | 0.00%** |
| Option Written, PUT, Federal National Mortgage Association, 2.50%, TBA | 0.00%** |
| Option Written, PUT, Federal National Mortgage Association, 2.50%, TBA | 0.00%** |
| Option Written, PUT, Federal National Mortgage Association, 2.50%, TBA | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Option Written, PUT, Federal National Mortgage Association, 2.00%, TBA | 0.00%** |
| Option Written, CALL, Federal National Mortgage Association, 2.00%, TBA | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Option Written, PUT, EUR vs. USD | 0.00%** |
| Option Written, PUT, Federal National Mortgage Association, 2.00%, TBA | 0.00%** |
| Swap Agreement, Receive, Boeing Co., 8.75%, 08/15/2021 | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Option Written, PUT, EUR vs. USD | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Futures Contracts, Short, 30-Year U.S. Treasury Bond | 0.00%** |
| Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 | 0.00%** |
| Swap Agreement, Receive, 6-Month JPY-LIBOR | 0.00%** |
| Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 | 0.00%** |
| Swap Agreement, Receive, Home Equity ABS Index - Series 6-2 | -0.01%** |
| Swap Agreement, Pay, 6-Month GBP-LIBOR | -0.01%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Futures Contracts, Short, U.S. Treasury Ultra Bond | -0.02%** |
| Swap Agreement, Receive, Republic of South Africa Government International Bond, 5.50%, 03/09/2020 | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.02%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.03%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.04%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.06%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.09%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.10%** |
| Swap Agreement, Pay, 12-Month GBP-SONIA | -0.12%** |
| Swap Agreement, Pay, 6-Month JPY-LIBOR | -0.13%** |
| Uniform Mortgage-Backed Security | -0.61%** |
| Net Other Assets (Liabilities) | -27.30%** |
Mutual funds, variable annuities and variable life insurance policies are subject to market risk, including the loss of principal. There is no assurance the fund will meet its investment objective. See the fund’s prospectus for complete information on all of the risks inherent with investing in the fund.
*There is no assurance that the securities listed are held beyond the indicated date. The holdings will remain online for six months, starting 15 days after the end of each calendar month.
**This security represents less than 0.01% of total holdings.
The Net Other Assets (Liabilities) category may include, but is not limited to, repurchase agreements, reverse repurchase agreements, security lending collateral, forward foreign currency contracts, and cash collateral.
This list of portfolio holdings is published on a delayed basis, 15 days after the end of each calendar month, and does not necessarily represent the actual investments held by a portfolio at the time of publication. All holdings are subject to change daily. This list has not been audited and is provided for informational use only. It is not intended as a recommendation, offer, or solicitation for the purchase or sale of any security. Transamerica assumes no obligation to update or supplement this list to reflect any change that may occur, and assumes no liability relating to the use of this information.
Unlike the fund’s regulatory filings, the portfolio data and its presentation in this document are not required to conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation requirements. Therefore, it differs from that in the complete statement of investments in the annual and semiannual report to shareholders filed with the SEC on Form N-CSR, and the complete statement of investments provided in the first and third quarter SEC Form N-Q filings for each fiscal year.
Shares of the funds may only be sold by offering the funds’ prospectus. You should consider the investment objective, risks, charges, and expenses of the fund carefully before investing. The prospectus contains this and additional important information regarding the fund. For Transamerica Funds - To obtain the prospectus and/or a summary prospectus, please contact your financial professional or go to transamerica.com. For Transamerica Partners Funds - go to transamericapartners.com. For Transamerica Series Trust portfolios - Investors should carefully consider their investment objectives and risks, along with a product’s charges and expenses before investing. The prospectus includes complete information and other important facts about the variable annuity or variable universal life insurance policy’s charges and expenses. Please contact your financial professional for a prospectus. The prospectus should be read carefully before investing.
Transamerica Series Trust portfolios are only available through the purchase of a variable life insurance policy or variable annuity contract.
No part of this material may be reproduced in any form, or referred to in any publication, without express written permission.
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